Yes ,check oil level, perhaps just change the engine oil and filter in case the filter is "clogged" and perhaps the oil pressure switch is defective but don't ignore the problem, it needs to be rectified.

most all BMW's have a dual function oil light. it can
illuminate either red or yellow. red means critical low
level. yellow usually will come on after you start the engine and then go off in a minute or so. this indicates a viscosity problem either in your oil or in the oil level sensor. my shop sees this all the time when the owner uses the wrong oil or goes the full distance (15,000 miles) for the service due light to come on. this
is why it's very important to ALWAYS have your car serviced at a shop that specializes in BMW and NEVER ever
go to Goober Lube.

It could be on for several reason. First check the level. If the level is good follow the SIB (TSB) from BMW. The warning could be on for different problems.
Here is the SIB:
Engine Controls - Engine Low Oil Level Warning
SI B 11 07 03
Engine
March 2004
Technical Service
Advance Information
This Service Information bulletin supersedes S.I. B11 07 03 dated February 2004.
[NEW] designates changes to this revision
SUBJECT
Engine Low Oil Level Warning With Ignition Off
MODEL
[NEW] E39 (M54, M62TU) with Xenon lights (option 522) produced in 03/03
[NEW] B53 (M54, M62TU) with Xenon lights (option 522) from 10/02 up to 03/03
MODEL II
All with M52TU, M54, 554, M56, M62, S62, and M73 Engines
SITUATION
In certain instances the customer may complain of the low oil level light on or a low oil level message in the check control after the ignition has been turned off. Checking the oil level with the dipstick shows the correct oil level.
Important Note :For the complaint of "low oil level message displayed while driving, on X5 4.4 up to 10/02 production", refer to Service Measure B 11 200 04 (January '04).
CAUSE I
Coding data error in Light Check Module IV (LCM IV).
CAUSE II
The oil level sensor has been contaminated, reducing the capability of the sensor to accurately determine oil level.
CORRECTION FOR CAUSE I
[NEW] On a customer complaint basis only, recode the LCM module with DIS CD 34, or higher.
CORRECTION FOR CAUSE II
[NEW] On a customer complaint basis only, replace the oil level sensor and refill engine with fresh oil.
PROCEDURE II
Ensure the engine is warm. Loosen oil filter cover to allow engine oil to drain into oil pan. Raise vehicle on hoist. Remove any underbody paneling or reinforcement as necessary to gain access to the sensor. Drain the oil. Disconnect the plug connection (1) and unscrew the three nuts (2) fastening the sensor to the oil pan. Clean the sealing surface of the oil pan in the location of the sensor. Replace the sensor and gasket ring with new parts. Reinstall the underbody paneling or reinforcement and lower vehicle. Tighten the oil filter housing cover and refill crankcase to proper level with new oil. Do not reuse the original oil!
Zee

As of 5/14, there is a new sending unit and new oil specifications form BMW North America.
I have a 2003 330xi with 66K miles that started this blinking of the oil pressure light.
The car has always had the oil changed every 6 months with Mobil 1 10W30 (live in lower Texas coast where temps are 30 to 104). The new BMW part number is 8611273 and the new oil is 0-40 if you use Mobile 1. Check BMW North America for other brand. This did stop the blinking of the of the RED light at idle. The car is now ready to sell. Rcrawford.63vette@gmail.com ... always replace the 2 green O-rings when replacing the "BMW" oil filter as this will help prevent any by-passing of oil (pressure)...